Another way to import, between the two blue arrows in the toolbox menu, there's either a blue folder or another icon that looks like a pyramid, cube, sphere... click that and it'll open a Windows Explorer window where you can select items to import. Must be 100 kb or less. The PDF file explains better on page 4.

If you import an object with sharp edges, the program will round it. So a pyramid will import looking like a marshmellow (sp?) pyramid.